Market impact and trading profile of large trading orders in stock markets

Esteban Moro, 2 Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, 4 Gabriella Vaglica, Fabrizio Lillo, 5, 6 and Rosario N. Mantegna 6 Instituto de Ciencias Matemáticas CSIC-UAM-UC3M-UCM, Madrid, Spain Grupo Interdisciplinar de Sistemas Complejos (GISC) and Departamento de Matemáticas, Universidad Carlos III de Madrid, E-28911, Leganés (Madrid), Spain Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501 LUISS Guido Carli, Viale Pola 12, 00198, Roma, Italy Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, I-90128 Palermo, Italy CNR-INFM-SOFT, Roma, Italy